Case study, mortgage

The tables below give an overview of the credit risk weightings (Pillar I only) for mortgage loans to retail and corporate customers under different regulations and models for estimating credit risk.

Mortgage loan (residential property) to a retail customer

Regulation	Model	LTV %	Customer rating	Risk-weight, %
Basel I		<80		50
CRD	Standardised Approach	<80		35
	Internal Rating Based, Advanced	<80	C1-C2	1-2
			C3-C4	1-4
			C5-C6	5-12
			D1-D3	21-85

Mortgage loan (office building in Denmark) to a corporate customer

Regulation	Model	LTV %	Customer rating	Risk-weight, %
Basel I		<50		50
CRD	Standardised Approach	<50		50
	Internal Rating Based, Advanced	<80	A1-A2	0-3
			A3-A4	0-6
			A5-A6	0-17
			B1-B3	0-74

Mortgage loans at Danske Bank
The majority of Danske Bank's mortgage loans, retail and corporate, have a CRD risk weighting of 2-50%.


Last updated/revised on August 09, 2007